Variational Gibbs Sampling
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If you have a question about this talk, please contact Phil Cowans.
I introduce a MCMC method for sampling from latent variable
models. The sampling scheme circumvents the traditional latent variable
sample by creating a transition kernel with the required parameter
posterior as its invariant distribution, hoping to smooth over local maxima
and trapping states in the latent variable space. In general this kernel is
not analytically tractable and I approximate it with a simpler distribution
using an EM bound; I’ll also discuss methods to correct this approximate
chain. Finally I’ll relate the method to two-stage Gibbs sampling, EM and
variational methods.
This talk is part of the Inference Group series.
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